^SIXY vs. CMG

Last updated Jun 4, 2026

^SIXY (Consumer Discretionary Select Sector Index) is an index, while CMG (Chipotle Mexican Grill, Inc.) is a stock. Over the past 10 years, ^SIXY returned 11.47%/yr vs 12.72%/yr for CMG. A 0.51 correlation means they provide meaningful diversification when combined.

Performance

^SIXY vs. CMG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Consumer Discretionary Select Sector Index (^SIXY) and Chipotle Mexican Grill, Inc. (CMG). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ^SIXY achieves a -2.37% return, which is significantly higher than CMG's -22.32% return. Over the past 10 years, ^SIXY has underperformed CMG with an annualized return of 11.47%, while CMG has yielded a comparatively higher 12.72% annualized return.

^SIXY

• 1D: -0.73%
• 1M: -0.98%
• YTD: -2.37%
• 6M: -2.31%
• 1Y: 8.40%
• 3Y*: 14.18%
• 5Y*: 6.43%
• 10Y*: 11.47%

CMG

• 1D: -1.78%
• 1M: -10.13%
• YTD: -22.32%
• 6M: -15.30%
• 1Y: -42.60%
• 3Y*: -11.34%
• 5Y*: 1.62%
• 10Y*: 12.72%

*Multi-year figures are annualized to reflect compound growth (CAGR)

^SIXY vs. CMG - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^SIXY Consumer Discretionary Select Sector Index	-2.37%	6.49%	25.46%	38.43%	-36.80%	27.10%	28.30%	26.71%	0.40%	21.23%
CMG Chipotle Mexican Grill, Inc.	-22.32%	-38.64%	31.83%	64.83%	-20.64%	26.07%	65.65%	93.87%	49.39%	-23.40%

Correlation

The correlation between ^SIXY and CMG is 0.37, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.37
Correlation (3Y) Calculated over the trailing 3-year period	0.43
Correlation (5Y) Calculated over the trailing 5-year period	0.55
Correlation (10Y) Calculated over the trailing 10-year period	0.49
Correlation (All Time) Calculated using the full available price history since Jan 5, 2009	0.51

The correlation between ^SIXY and CMG shifts across timeframes, from 0.37 (1 year) to 0.55 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

^SIXY vs. CMG — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^SIXY

^SIXY Risk / Return Rank: 27
^SIXY Sharpe Ratio Rank: 27
^SIXY Sortino Ratio Rank: 27
^SIXY Omega Ratio Rank: 26
^SIXY Calmar Ratio Rank: 27
^SIXY Martin Ratio Rank: 30

CMG

CMG Risk / Return Rank: 7
CMG Sharpe Ratio Rank: 3
CMG Sortino Ratio Rank: 5
CMG Omega Ratio Rank: 5
CMG Calmar Ratio Rank: 8
CMG Martin Ratio Rank: 13

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^SIXY vs. CMG - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Consumer Discretionary Select Sector Index (^SIXY) and Chipotle Mexican Grill, Inc. (CMG). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

	^SIXY	CMG	Difference
Sharpe ratio Return per unit of total volatility	0.46	-1.11	+1.57
Sortino ratio Return per unit of downside risk	0.77	-1.52	+2.29
Omega ratio Gain probability vs. loss probability	1.09	0.79	+0.30
Calmar ratio Return relative to maximum drawdown	0.54	-0.84	+1.39
Martin ratio Return relative to average drawdown	1.70	-1.24	+2.94
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^SIXY vs. CMG - Sharpe Ratio Comparison

The current ^SIXY Sharpe Ratio is 0.46, which is higher than the CMG Sharpe Ratio of -1.11. The chart below compares the historical Sharpe Ratios of ^SIXY and CMG, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	^SIXY	CMG	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.46	-1.11	+1.57
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.27	0.05	+0.22
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.52	0.36	+0.16
Sharpe Ratio (All Time) Calculated using the full available price history	0.69	0.49	+0.20

Drawdowns

^SIXY vs. CMG - Drawdown Comparison

The maximum ^SIXY drawdown since its inception was -40.25%, smaller than the maximum CMG drawdown of -74.61%. Use the drawdown chart below to compare losses from any high point for ^SIXY and CMG.

Drawdown Indicators

	^SIXY	CMG	Difference
Max Drawdown Largest peak-to-trough decline	-40.25%	-74.61%	+34.36%
Max Drawdown (1Y) Largest decline over 1 year	-15.17%	-50.65%	+35.48%
Max Drawdown (3Y) Largest decline over 3 years	-26.21%	-58.08%	+31.87%
Max Drawdown (5Y) Largest decline over 5 years	-40.25%	-58.08%	+17.83%
Max Drawdown (10Y) Largest decline over 10 years	-40.25%	-58.08%	+17.83%
Current Drawdown Current decline from peak	-6.40%	-58.08%	+51.68%
Average Drawdown Average peak-to-trough decline	-6.85%	-21.33%	+14.48%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.86%	34.47%	-29.61%

Volatility

^SIXY vs. CMG - Volatility Comparison

The current volatility for Consumer Discretionary Select Sector Index (^SIXY) is 5.22%, while Chipotle Mexican Grill, Inc. (CMG) has a volatility of 9.37%. This indicates that ^SIXY experiences smaller price fluctuations and is considered to be less risky than CMG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^SIXY	CMG	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.22%	9.37%	-4.15%
Volatility (6M) Calculated over the trailing 6-month period	13.08%	22.93%	-9.85%
Volatility (1Y) Calculated over the trailing 1-year period	17.97%	38.41%	-20.44%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	23.71%	33.50%	-9.79%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.01%	35.63%	-13.62%

Frequently Asked Questions

Can I hold both ^SIXY and CMG in my portfolio?

^SIXY and CMG have a correlation of 0.37, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ^SIXY or CMG?

CMG has higher volatility (9.37%) compared to ^SIXY (5.22%). In terms of maximum drawdown, ^SIXY dropped -40.25% vs CMG's -74.61%.

Which has better risk-adjusted returns?

^SIXY currently has the higher Sharpe Ratio (0.46 vs -1.11), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.